Momentum factor investing: Evidence and evolution

Research

47 Pages

The authors review momentum’s evolution and test it across 150 years and 46 countries, finding it is “sizable, robust, persistent, and fundamentally multi-dimensional”.”

Date Published: October 2025

Key Takeaways

Persistent premium: Evident across centuries and markets, with robust performance in multiple asset classes.
Crash risk: Momentum can suffer sharp reversals; risk controls and diversification improve outcomes.
Better design: Combining signals and volatility scaling enhances risk adjusted returns and reduces drawdowns.
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